Estimation of long memory in integrated variance
Year of publication: |
2011-04-12
|
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Authors: | Rossi, Eduardo ; Magistris, Paolo Santucci de |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Realized variance | Long memory | fractional Brownian Motion | Measurement error | Whittle estimator |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 3 pages long |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General |
Source: |
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